FinCore Financial Instrument Object Model

A powerful pricing and analytics library for all Fixed Income Instruments supported through a flexible architecture based on an industrial standard Corba interface.

The FinCore Financial Instrument Object Model (FFIOM) provides a state-of-the-art bond and bond futures pricing engine, covering instruments for G7 and EMU11 countries. This model handles tax, sinking funds, non-standard coupons and all the different bond conventions.

The libraries are written in C++ with an industrial standard Corba Interface and the program will compile on both Unix and NT systems. The software is multi-threaded and can therefore run on multiple machine/processors, hence improving performance.

Fundamental business requirements FFIOM is designed to incorporate include:

Extensibility. The universe of financial instruments is evolving over time. This growth incorporates both brand new instrument types and modifications or additions to existing ones. To ensure the FFIOM can accommodate this growth, it is completely generic in regard to the type of financial instrument it can handle.

Adaptability. The FFIOM is modular. The individual tasks, processes and properties associated with a financial instrument are represented by different objects, each of which is dynamically linkable at run-time, and which can therefore be replaced by a new component even in a live environment.

Flexibility. Whereas a given type of financial instrument rarely changes its fundamental characteristics during its life, the rules (whether regulatory or business) and processes surrounding an instrument change over time. Product behaviour is governed by rules, which parametrically define features such as day-basis and accrual methods so that new types or country conventions can quickly be added to a live system without any change to the compiled code.

Segregation. The implementation of instrument tasks and properties are insulated from the data source. Thus each instrument is populated by a processor object, which abstracts out the specific intricacies of the data source, and employs a specialist data mapping filter to bind the data to the instrument attributes. This results in a completely clean interface between code and data and allows the FinCore instruments to be utilised in contexts where the original data source is not available.

Technical Specifications